Inflation Option is a of with functions , keys and example object that represents a zero striked european option where the underlying contract is a zero coupon that matures at the same date as the option's excpiry.
Stated differently, the holder of a call Inflation Option on a receiver underlying inflation swap has the right to enter with a long position into that swap at the swap's maturity date.
In effect, the holder then has the right to choose at option's expiry (which is the same as the maturity of the underlying zero coupon inflation swap) whether or not to receive the swap's net terminal amount, as defined in .
The option's position is overall long on inflation if it is a call option on a receiver underlying swap or a put option on a payer swap.
The pricing methodology is specified in